Obama is not yet the president-elect, as an earlier post mentioned. He becomes president-elect when the Electoral College votes in mid-December. At that point, if he dies, the usual presidential succession kicks in and Biden would become president. And if he, too, died, the Speaker of the House (Nancy Pelosi) would become president and so on down the list.
But if Obama dies before the Electoral College votes, things get dicey very fast. His electors would probably vote for Biden, but they don't have to, and some can't. Here in Michigan, as in many other states, the electors are bound to the candidate they are pledged to and cannot legally vote for anyone else. Not all states have provisions for what happens if the guy is dead. There are some pretty odd--and downright frightening--scenarios that could play out.
For a fascinating article, go here:
http://presidentelect.org/art_deathpresidentelect.html